Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3091 |
| Annualized Std Dev | 0.4310 |
| Annualized Sharpe (Rf=0%) | -0.7171 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3505.0000 |
| NAs | 1.0000 |
| Minimum | -0.1913 |
| Quartile 1 | -0.0174 |
| Median | -0.0015 |
| Arithmetic Mean | -0.0011 |
| Geometric Mean | -0.0015 |
| Quartile 3 | 0.0144 |
| Maximum | 0.1890 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0020 |
| UCL Mean (0.95) | -0.0002 |
| Variance | 0.0007 |
| Stdev | 0.0272 |
| Skewness | 0.3017 |
| Kurtosis | 3.1695 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0187 |
| Gain Deviation | 0.0190 |
| Loss Deviation | 0.0169 |
| Downside Deviation (MAR=210%) | 0.0243 |
| Downside Deviation (Rf=0%) | 0.0193 |
| Downside Deviation (0%) | 0.0193 |
| Maximum Drawdown | 0.9958 |
| Historical VaR (95%) | -0.0426 |
| Historical ES (95%) | -0.0577 |
| Modified VaR (95%) | -0.0416 |
| Modified ES (95%) | -0.0547 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-07-02 | 2020-12-28 | NA | -0.9958 | 3202 | 3145 | NA |
| 2007-05-18 | 2007-08-31 | 2008-04-28 | -0.3672 | 238 | 74 | 164 |
| 2008-04-29 | 2008-05-01 | 2008-05-07 | -0.0630 | 7 | 3 | 4 |
| 2008-05-12 | 2008-05-19 | 2008-05-21 | -0.0582 | 8 | 6 | 2 |
| 2008-05-29 | 2008-05-29 | 2008-06-03 | -0.0477 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | -1.6 | -0.7 | 3.1 | 3 | -4 | 2.8 | 2.7 | -1.9 | 2 | 5.3 |
| 2008 | -4.1 | -0.9 | -4.2 | -3.2 | 2.7 | 0.8 | 2.8 | -0.8 | 3.8 | 4 | 1.4 | -4.4 | -2.6 |
| 2009 | -4 | 2.6 | -2.6 | 4.9 | 9.3 | -1.4 | -1.5 | -4.2 | -6.1 | -1.7 | -1.2 | -2.6 | -9.1 |
| 2010 | 5.3 | -2 | 5.5 | -1.9 | -3.1 | 4.8 | 1.8 | -1.7 | -1.6 | -5.2 | 1.7 | 1.7 | 4.9 |
| 2011 | -1.5 | -4 | -1.5 | 2.3 | -0.3 | -1.4 | 0.8 | -0.4 | -2.5 | -3.6 | 1.9 | -1.8 | -11.6 |
| 2012 | -3.7 | -5 | -1.8 | 3 | -3.6 | 2.2 | -1.8 | 1.5 | 4.6 | -0.5 | -2 | -2.9 | -10.1 |
| 2013 | -1.2 | -0.6 | 0.4 | -0.5 | -1 | 0.2 | -1.6 | -0.2 | 1.4 | -1.8 | 0.4 | -4.1 | -8.2 |
| 2014 | -0.3 | 2.9 | -2.4 | -1.7 | -0.4 | -0.5 | -0.9 | 0.7 | -2.5 | 1.1 | -3.8 | -6 | -13.1 |
| 2015 | -1.5 | 0.7 | -1.1 | 1.9 | 0.2 | -1.6 | -2.2 | 0.1 | -3.8 | 3.3 | 0 | 3.3 | -1 |
| 2016 | -7.3 | 2.7 | -0.8 | 3.7 | 4.5 | 2.4 | -3.2 | -2.5 | -1.8 | -4.3 | 5.1 | -1.7 | -3.9 |
| 2017 | 0.5 | 1.2 | 0 | -1.3 | -0.7 | -0.6 | 0.2 | 1.2 | -0.2 | -0.2 | 0.8 | 1.2 | 2.1 |
| 2018 | -2.9 | 0.9 | 1.1 | 1.2 | 0.6 | -1 | -0.7 | 1.3 | 3.5 | -1.1 | 0.6 | -9.8 | -6.7 |
| 2019 | -3.4 | 1.4 | 1.3 | 1.3 | -4 | -2.2 | -3 | -0.3 | -1.4 | 2.6 | -7.1 | -0.2 | -14.5 |
| 2020 | 0.4 | -2.7 | -4.3 | -3 | -2.9 | -3.6 | -1.5 | -4.5 | -1.6 | 1.5 | -1.6 | 4.7 | -17.9 |
| 2021 | 9.7 | 0.5 | 2.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 12.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-04-18 1625. SPY 147. 1.20e-3 0.0226 0.0504 0.0297 0.145 0.304 0.301 GLD 68.4 0.0056 0.0194
2 2007-04-19 1618. SPY 147. -3.00e-4 0.0178 0.0444 0.0329 0.126 0.293 0.303 GLD 67.5 -0.0124 0.0081
3 2007-04-20 1585. SPY 149. 9.40e-3 0.0227 0.0372 0.0406 0.135 0.306 0.321 GLD 68.7 0.0173 0.0127
4 2007-04-23 1632 SPY 148. -3.80e-3 0.00930 0.0341 0.0399 0.129 0.323 0.312 GLD 68.3 -0.0064 -0.002
5 2007-04-24 1635. SPY 148. 4.00e-4 0.007 0.033 0.0373 0.129 0.315 0.334 GLD 67.7 -0.0078 -0.004
6 2007-04-25 1650. SPY 149. 9.20e-3 0.015 0.0439 0.0384 0.142 0.308 0.352 GLD 67.9 0.00240 -0.0072
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
